WORD: Mail merge with grouping

How to use mail merge to create a list sorted by category in Word
Just follow first example

If your merge document is using table and you want each group to start on new page, example on "Force each new category to a new page" section won't work
Instead, work on resulted merged document with macro described on this article (by raffaeleambrosio):
Replace character with page break
OR ....
(Never tried it though) Directory Mail Merge with table layout

Delete a table empty rows in word document using VBA

Alternative without using Word / Mail merge at all:
Conditional Page Breaks
Use Subtotal and check "Page break between groups" option